In the War of Winterfell in Game of Thrones S08E03, we see Arya terrified in the library. Why didn't she change herself to appear as the dead in order to get past them?
Because appearing dead is not the same as being dead.
Firstly, we do not know the extent of the shape-shifting abilities of the Faceless Men but these appear to be based on appearing as something other than what you are.
The Dead are targeting the living and there is no indication that the abilities of the Faceless Men can make you be sensed as "unliving" to the Dead.
Essentially, if Arya is alive, she's targeted by the Dead, regardless of what she looks like.